| Close | |
|---|---|
| Annualized Return | -0.0093 |
| Annualized Std Dev | 0.1099 |
| Annualized Sharpe (Rf=0%) | -0.0848 |
| Close | |
|---|---|
| Observations | 4399.0000 |
| NAs | 1.0000 |
| Minimum | -0.0556 |
| Quartile 1 | -0.0030 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0030 |
| Maximum | 0.0838 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0002 |
| Variance | 0.0000 |
| Stdev | 0.0069 |
| Skewness | -0.0095 |
| Kurtosis | 17.3018 |
| Close | |
|---|---|
| Semi Deviation | 0.0050 |
| Gain Deviation | 0.0052 |
| Loss Deviation | 0.0056 |
| Downside Deviation (MAR=210%) | 0.0105 |
| Downside Deviation (Rf=0%) | 0.0050 |
| Downside Deviation (0%) | 0.0050 |
| Maximum Drawdown | 0.4361 |
| Historical VaR (95%) | -0.0094 |
| Historical ES (95%) | -0.0165 |
| Modified VaR (95%) | -0.0090 |
| Modified ES (95%) | -0.0090 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2004-04-02 | 2008-10-10 | NA | -0.4361 | 4271 | 1140 | NA |
| 2003-12-23 | 2003-12-29 | 2004-03-12 | -0.0374 | 55 | 4 | 51 |
| 2003-10-27 | 2003-10-30 | 2003-12-22 | -0.0278 | 40 | 4 | 36 |
| 2004-03-19 | 2004-03-24 | 2004-04-01 | -0.0148 | 10 | 4 | 6 |
| 2004-03-15 | 2004-03-16 | 2004-03-18 | -0.0052 | 4 | 2 | 2 |
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2003 | NA | NA | NA | NA | NA | NA | NA | NA | 0 | 0.1 | 0 | 0 | 0.1 |
| 2004 | 0.3 | 0.4 | 1.3 | 0.5 | 0.6 | 0.7 | 0.5 | 0.7 | 0.3 | 0 | 0.4 | 0.7 | 6.6 |
| 2005 | 1.7 | 0.2 | 0.5 | 0.3 | 0.5 | 0.2 | 0.8 | -0.5 | 0.1 | 1.2 | -0.3 | 0.3 | 5.1 |
| 2006 | 0.2 | 0 | -0.5 | -0.1 | -0.2 | 0.3 | -0.3 | 0.2 | 0.2 | 0 | 0.2 | 0.5 | 0.5 |
| 2007 | 0 | 0.1 | -0.3 | 0.3 | -0.2 | 0.6 | 0.6 | 1.1 | 0 | 0.7 | 0.5 | 0.6 | 4.1 |
| 2008 | 1.1 | 0.2 | 0.4 | 0.7 | -0.2 | 0.6 | 1.1 | 0 | 1 | 0.3 | 1.3 | 0.4 | 7.1 |
| 2009 | 0 | 0.4 | 0 | 0.2 | -0.3 | 1.4 | 1.2 | 1.4 | 0.6 | -0.2 | 0.2 | 0.5 | 5.3 |
| 2010 | 1.6 | 0.7 | 0.2 | 0.6 | 1 | 0.3 | 0.1 | 0.2 | 0.5 | 0.9 | 0.1 | 1.5 | 8 |
| 2011 | 0.2 | 0.2 | 1.1 | 1.6 | 0.7 | 1.3 | 0.9 | 0.1 | 0.3 | 0.9 | -0.3 | 0 | 7.2 |
| 2012 | 0 | 0.1 | 0.3 | 0.2 | 0.5 | 0.2 | 0 | 0.8 | 0 | 0.3 | -0.1 | -0.1 | 2.3 |
| 2013 | 0.5 | 0.6 | 0.1 | -0.4 | 0.1 | 2.3 | 0.6 | 1 | 0.3 | 0 | -0.2 | -0.8 | 4.1 |
| 2014 | -0.1 | 0.3 | 0 | 0.1 | -0.4 | -0.2 | -0.1 | 0.6 | 0.7 | -0.2 | 0 | 0.9 | 1.6 |
| 2015 | 0.3 | 0.6 | 1 | -0.8 | -0.2 | -0.1 | 0.6 | -0.3 | 0.2 | -0.3 | 0.4 | -0.1 | 1.4 |
| 2016 | 0.8 | 0 | -0.3 | 0.7 | 0.5 | 1.7 | -0.2 | -0.2 | -0.1 | -0.5 | -0.7 | 0.3 | 2.1 |
| 2017 | 0.2 | -0.1 | 0.8 | -0.2 | 0.1 | 0.4 | 0.7 | 0.3 | 0.3 | 0.3 | 0.1 | 0.3 | 3 |
| 2018 | 0.7 | -0.5 | 0.9 | 0.2 | 0.3 | 0.6 | -0.2 | 0 | 0.5 | 0.3 | 0.2 | 0.1 | 3 |
| 2019 | 0.2 | -0.1 | -1.2 | 0.3 | 0.1 | -0.9 | 0.3 | 0 | 0.3 | 0 | -0.1 | 0.1 | -1.2 |
| 2020 | 0.1 | -0.6 | -1.5 | 0.3 | 0.4 | 1.1 | -0.6 | 0 | 0.2 | 1.3 | -0.2 | 4.7 | 5.1 |
| 2021 | 0.2 | 0 | 0.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.2 |
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2003-09-26 15.0 SPY 100. -0.0033 -0.0359 -0.0019 0.0234 0.166 -0.310 NA <NA> NA NA NA
2 2003-09-29 15.0 SPY 101. 0.0098 -0.0158 0.0017 0.0338 0.220 -0.305 NA <NA> NA NA NA
3 2003-09-30 15.0 SPY 100. -0.0097 -0.029 -0.0147 0.0144 0.222 -0.312 NA <NA> NA NA NA
4 2003-10-01 15.0 SPY 102. 0.0213 0.00960 -0.007 0.0232 0.191 -0.292 NA <NA> NA NA NA
5 2003-10-02 15.0 SPY 102. 0.0036 0.0216 -0.0088 0.0376 0.232 -0.281 NA <NA> NA NA NA
6 2003-10-03 15.0 SPY 103. 0.0092 0.0344 -0.0002 0.0267 0.256 -0.278 NA <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>